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A time series bootstrap procedure for interpolation intervals. (English) Zbl 1452.62613
Summary: A sieve bootstrap procedure for constructing interpolation intervals for a general class of linear processes is proposed. This sieve bootstrap provides consistent estimators of the conditional distribution of the missing values, given the observed data. A Monte Carlo experiment is used to show the finite sample properties of the sieve bootstrap and finally, the performance of the proposed method is illustrated with a real data example.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G09 Nonparametric statistical resampling methods
62-08 Computational methods for problems pertaining to statistics
Software:
TRAMO
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